Thanksgiving is the beginning of peak travel season, and what did I read this morning? That 1 in 138 checked bags gets lost.
Now that seems like quite a bit. It implies that someone on your plane is going to be sitting at their in-law's formal Thanksgiving dinner with jeans and a sweatshirt. Maybe it serves the in-laws right, but after a few days, it's not just the in-laws who care.
Yet the statistic above is skewed for a number of reasons. Most "lost" baggage actually gets found, and often quickly. In all my flying and that of my family, we've never had a "lost" bag for more than 24 hours (and only once was it overnight). Cheapflights.com (ok, they're biased) cites a Dept. of Transportation statistic that says only 1 in 20,000 bags are permanently lost.
I would imagine there are other issues at play, also. Connections are riskier, since it's pretty hard to screw it up on a direct flight, as you watch them put it on the conveyor and tag it, and they only have to get it on one plane. Of course, the time you really want to check vs. carry on is when you are going to spend 3 hours waiting for your connection and shopping at some random airport.
But let's get back to 1 in 138. What does it mean to you? It means if you are a typical air traveller (10 or fewer flights a year, 1 bag checked each time), you will only get a bag delayed about once every 9 years. Even if you took 50 flights a year, you are not likely to ever have one lost forever.
This assumes all flights are the same. There is a clear difference in international flights and at least some differences among carriers. I'd imagine, a flight from, say, budapest, to New York, is more likely to have a lost bag than a flight from DC to New York. When we went from Whenzhou to Gaungzhou in China, they were so concerned with theft, they made us purchase a 10 yuan ($1.25) lock for every suitcase. I guess it did the trick, because everything arrived, and ontime!